Sortino Ratio Report for Balanced Portfolio

---
title: "Portfolio Report"
params:
  date:
    input: date
    label: Start Date
    value: '2010-01-01'
  mar:
    input: slider
    label: Min Acceptable Rate
    min: 0
    max: 0.1
    step: 0.001
    value: 0.008
  portfolio:
    choices:
    - balanced_portfolio_returns
    - aggressive_portfolio_returns
    - conservative_portfolio_returns
    input: select
    label: portfolio
    value: balanced_portfolio_returns
  portfolioName:
    input: text
    label: title
    value: Balanced
  window:
    input: numeric
    label: Rolling Window
    min: 6
    max: 36
    value: 12
resource_files:
  - "returns.rds"
output:
  flexdashboard::flex_dashboard:
    orientation: rows
    source_code: embed
---

```{r setup, include=FALSE}
knitr::opts_chunk$set(echo = FALSE, message = FALSE, warning = FALSE)

library(blastula)
library(dplyr)
library(flexdashboard)
library(formattable)
library(plotly)

library(openxlsx)
library(PerformanceAnalytics)
library(xts)
library(zoo)

returns <- readRDS("returns.rds")
```

```{r}
MAR <- params$mar
# run our calculations

portfolio_selected <- as_tibble(returns[[params$portfolio]]) %>%
  select(date, returns) %>%
  collect() %>%
  mutate(date = as.Date(date)) %>%
  filter(date >= params$date)

ts_prepare <- xts::xts(portfolio_selected$returns, order.by = portfolio_selected$date)

rolling_sortino <-
  ts_prepare %>%
  rollapply(params$window, function(x) SortinoRatio(x, MAR = MAR)) %>%
  `colnames<-`("24-rolling")


sortino_byhand <-
  portfolio_selected %>%
  mutate(ratio = mean(returns - MAR) / sqrt(sum(pmin(returns - MAR, 0)^2) / nrow(.))) %>%
  mutate(status = ifelse(returns < MAR, "down", "up"))
```


Sortino Ratio Report for `r params$portfolioName` Portfolio
=================================

Row 
-----------------------------------------------------------------------

### Rolling Sortino

```{r}
plot_ly() %>%
  add_lines(
    x = index(rolling_sortino), y = as.numeric(rolling_sortino),
    hovertemplate = "Sortino: %{y:.2r}", name = ""
  ) %>%
  layout(
    hovermode = "x",
    xaxis = list(
      hoverformat = '%A, %b %d, %Y',
      tickformat = '%b %Y',
      rangeslider = list(visible = TRUE),
      rangeselector = list(
        x = 0, y = 1, xanchor = 'left', yanchor = "top", font = list(size = 9),
        buttons = list(
          list(count = 1, label = 'RESET', step = 'all'),
          list(count = 1, label = '1 YR', step = 'year', stepmode = 'backward'),
          list(count = 3, label = '3 MO', step = 'month', stepmode = 'backward'),
          list(count = 1, label = '1 MO', step = 'month', stepmode = 'backward')
        )        
      )
    )
  )
```


Row
-------------------------------------

### Scatterplot

```{r}
portfolio_scatter <- ggplot(sortino_byhand, aes(x = date, y = returns, color = status) )+
  geom_point() +
  geom_vline(xintercept = as.numeric(as.Date("2016-11-30")), color = "blue") +
  geom_hline(yintercept = MAR, color = "purple", linetype = "dotted") +
  scale_color_manual(values = c("tomato", "chartreuse3")) +
  theme(legend.position = "none") + ylab("percent monthly returns")

ggplotly(portfolio_scatter) %>% 
  add_annotations(
    text = "Trump", x = as.numeric(as.Date("2016-11-30")), 
    y = -.05, xshift = -10, textangle = -90, showarrow = FALSE
  )
```


### Histogram

```{r}
p <- ggplot(sortino_byhand, aes(x = returns)) +
  geom_histogram(alpha = 0.25, binwidth = .01, fill = "cornflowerblue") +
  geom_vline(xintercept = MAR, color = "green")
ggplotly(p) %>%
  add_annotations(text = "MAR", x = MAR, y = 10, xshift = 10, showarrow = FALSE, textangle = -90)
```

### Density

```{r}
sortino_density_plot <- ggplot(sortino_byhand, aes(x = returns)) +
  stat_density(geom = "line", size = 1, color = "cornflowerblue")

shaded_area_data <- ggplot_build(sortino_density_plot)$data[[1]] %>%
  filter(x < MAR)

sortino_density_plot <-
  sortino_density_plot +
  geom_area(data = shaded_area_data, aes(x = x, y = y), fill = "pink", alpha = 0.5) +
  geom_segment(
    data = shaded_area_data, aes(x = MAR, y = 0, xend = MAR, yend = y),
    color = "red", linetype = "dotted"
  )

ggplotly(sortino_density_plot) %>%
  add_annotations(
    x = MAR, y = 5, text = paste("MAR =", MAR, sep = ""), textangle = -90
  ) %>%
  add_annotations(
    x = (MAR - .02), y = .1, text = "Downside", 
    xshift = -20, yshift = 10, showarrow = FALSE
  )
```

```{r, echo = FALSE}
portfolio_file <- paste(params$portfolio, Sys.Date(), ".xlsx", sep = "")
write.xlsx(portfolio_selected, file = portfolio_file)
```

```{r, echo = FALSE}
# have the report send out an email with 
# important results included in-line
render_connect_email(input = "portfolio-report-email.Rmd") %>%
  attach_connect_email(
    subject = sprintf("%s portfolio Sortino report",params$portfolioName),
    attach_output = TRUE,
    attachments = c(portfolio_file)
)
```